Testing a Unit Root Based on Aggregate Time Series

DOI10.1080/03610920701669736zbMATH Open1274.62559OpenAlexW2092221079MaRDI QIDQ5457983FDOQ5457983

Erin M. Hodgess, Paulo Teles, William W. S. Wei

Publication date: 10 April 2008

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920701669736

zbMATH Keywords

unit rootrandom walk modelsignificance levelDickey-Fuller testsaggregate time seriesright-shifted distribution

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

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• Estimation of a non-invertible moving average process: the case of overdifferencing
• Temporal aggregation and the power of tests for a unit root
• On the Statistical Inference of a Machine-generated Autoregressive AR(1) Model
• ESTIMATING FINITE SAMPLE CRITICAL VALUES FOR UNIT ROOT TESTS USING PURE RANDOM WALK PROCESSES:A NOTE

Cited In (5)

• Optimum Designs for Parameter Estimation in Linear Mixture Models with Synergistic Effects
• The use of temporally aggregated data in modeling and testing a variance change in a time series
• A spectral measure for the information loss of temporal aggregation
• Temporal aggregation and the power of tests for a unit root
• The effects of temporal aggregation on tests of linearity of a time series.

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